Forecasting, Structural Time Series Models and the Kalman Filter

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Lingua: inglese

Editore: Cambridge University Press, 1991

0521405734 / 9780521405737

Da: World of Books Inc, Montgomery, IL, U.S.A.World of Books Inc

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Venditore AbeBooks dal 23 marzo 2026

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Descrizione dell’articolo da parte del venditore

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.…

Titolo
Forecasting, Structural Time Series Models and the Kalman Filter
Autore
Andrew C Harvey
Editore
Cambridge University Press
Anno di pubblicazione
1991
Condizione
Fair
Rilegatura
Paperback
Lingua
inglese
ISBN 10
0521405734
ISBN 13
9780521405737

World of Books Inc

Montgomery, IL, U.S.A.

Venditore con 4 stelle

Venditore AbeBooks dal 23 marzo 2026

Tariffe di spedizione nazionale per U.S.A.

ArticoloDa 4 a 12 giorni lavorativiDa 3 a 6 giorni lavorativi
Primo articoloEUR 0,00EUR 9,91
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